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I think the question is simple enough. I have been using Eviews, but it is unable to do recursive one step ahead forecasting directly and requires me to use coding, which I'm not very good at.

I need to know which is the best software which will allow me to do recursive one step ahead forecasts, whereby coefficients are re-estimated at each step, and these are used for forecasts.

Additionally if anyone can also answer the following question linked, it would be highly appreciated.

Correct procedure for modelling GARCH for forecasting volatility of stock Index returns

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closed as primarily opinion-based by Malick, Luigi Ballabio, Quantuple, madilyn, Richard Hardy Apr 3 '17 at 13:07

Many good questions generate some degree of opinion based on expert experience, but answers to this question will tend to be almost entirely based on opinions, rather than facts, references, or specific expertise. If this question can be reworded to fit the rules in the help center, please edit the question.

  • $\begingroup$ Unless, there is someone on this community who has experience in coding in Eviews and can help me out? I already have the basic code, I just need minor modifications I think, but obviously my knowledge is limited. $\endgroup$ – Albe Mar 19 '17 at 19:51
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    $\begingroup$ I'm voting to close because "the best software" .. is too opinion based to me. $\endgroup$ – Malick Mar 20 '17 at 15:46
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    $\begingroup$ Irrespective of my vote to close, for information I do not know a single software that directly allow you to estimate a models whereby coefficients are re-estimated at each step. You 'll be forced to use coding at some points, it looks like a good reason to learn coding, and to add a further skill to your CV. $\endgroup$ – Malick Mar 21 '17 at 14:51
  • $\begingroup$ I'd be surprised there is any software that is able to do this. If it exists it's probably the best by lack of competition. $\endgroup$ – Bob Jansen Mar 21 '17 at 17:51
  • $\begingroup$ Thanks for the answer. I am now using coding. Does anyone in this community have experience in coding in Eviews? If I post my code can I get a bit of assistance with it in terms of minor tweaks? If I can get an answer to this, I choose to accept and close this discussion. $\endgroup$ – Albe Mar 21 '17 at 19:03
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I will answer the part of your question on

...software which will allow me to do recursive one step ahead forecasts, whereby coefficients are re-estimated at each step, and these are used for forecasts.

Automated recursive GARCH estimation and forecasting is available in R package rugarch via function ugarchroll (you will find an example in the link, too). See also the package vignette for details and examples.

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